Optimal Market Making Models with Stochastic Volatility

25.July 2023

The emergence of high-frequency trading has led to improvements in numerous algorithmic trading strategies. Consequently, there is a growing demand for quantitative analysis and optimization techniques to develop these strategies. We present a paper by Aydoğan et al. (2022), which discusses the derivation of the optimal prices for HFT to execute the limit buy and sell orders where a stochastic volatility model generates the mid prices of the assets in the market.

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Beta-Adjusting Factor Returns

20.July 2023

Beta-adjusted returns equity factors are considerably more stable, indicating that factor construction methodologies may be improved beyond dollar and size neutrality. Low-beta effect at the level of factors confirms the existence of seasonal and momentum effects in the cross-section of factor returns. Altogether, these insights deepen the understanding of factor behavior and can aid the development of more robust factor-based investment strategies.

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Quantpedia in June 2023

7.July 2023

Hello all,

What have we accomplished in the last month?

– Extensions of 5 Quantpedia Pro reports
– 12 new Quantpedia Premium strategies have been added to our database
– 12 new related research papers have been included in existing Premium strategies during the last month
– Additionally, we have produced 7 new backtests written in QuantConnect code
– And finally, 4 new blog posts that you may find interesting have been published on our Quantpedia blog in the previous month

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Combining Gold, Bonds and Low Volatility Stocks

Even though gold is generally a volatile asset, it is often considered a key diversifier, hedging against inflation or protecting during economic uncertainties. According to the authors (Pim van Vliet and Harald Lohre), in times of extreme macroeconomic events, including war, hyperinflation, or major economic recessions, gold investing is widely regarded as a safe haven. However, using gold as a hedge comes at the cost of lower returns. The authors explored the importance of gold in investment portfolios and its ability to reduce the risk of losses combined with bonds and stocks. Compared to many existing studies, they also consider a longer timeframe and the impact of inflation.

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